New analytic approximations for pricing spread options (Q4925747)
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scientific article; zbMATH DE number 6174814
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | New analytic approximations for pricing spread options |
scientific article; zbMATH DE number 6174814 |
Statements
12 June 2013
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spread options
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risk-neutral probability measure
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geometric Brownian motions
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approximations
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numerical implementation
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0.8477820158004761
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0.8141518831253052
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0.8115829825401306
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0.8021463751792908
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0.7988553643226624
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